The ES_SCENARIO_FX_RATES table contains vector fields. In databases that do not natively support vectors, the vector fields are stored as separate columns.
ES_SCENARIO_FX_RATES Table Fields
Column Name
Type
Not Null
Cube Field
Description
DATA_SET
STRING
Y
The data set to which the entry belongs. The following different values are possible:
“Full Set Current”: data for the last 12 months
“Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
“Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
RISK_CLASS
STRING
Y
The risk class, which will be one of the following:
GIRR
CSR
Equity
Commodity
FX
allin
LIQUIDITY_HORIZON
INTEGER
Y
The Liquidity Horizon in days: 10, 20, 40, 60 or 120
BASE_CCY
STRING
Y
The left side of the currency pair
COUNTER_CCY
STRING
Y
The right side of the currency pair
AS_OF_DATE
DATE
Y
Timestamp (at close of business) for the data
Column Name
Type
Not Null
Cube Field
Description
DATA_SET
STRING
Y
The data set to which the entry belongs. The following different values are possible:
“Full Set Current”: data for the last 12 months
“Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
“Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
RISK_CLASS
STRING
Y
The risk class, which will be one of the following:
GIRR
CSR
Equity
Commodity
FX
allin
LIQUIDITY_HORIZON
INTEGER
Y
The Liquidity Horizon in days: 10, 20, 40, 60 or 120
BASE_CCY
STRING
Y
The left side of the currency pair
COUNTER_CCY
STRING
Y
The right side of the currency pair
FX_RATE
ARRAY(DOUBLE)
Y
The vector of FX rates between the two currencies. The vector is indexed by the same scenarios as the corresponding IMA ES PV vector.
AS_OF_DATE
DATE
Y
Timestamp (at close of business) for the data
ES_SCENARIO_FX_RATES Unique Key
Columns
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE
Columns
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE
ES_SCENARIO_FX_RATES_VECTOR Table Fields
Column Name
Type
Not Null
VECTOR_INDEX
INTEGER
Y
DATA_SET
STRING
Y
RISK_CLASS
STRING
Y
LIQUIDITY_HORIZON
INTEGER
Y
BASE_CCY
STRING
Y
COUNTER_CCY
STRING
Y
FX_RATE
DOUBLE
AS_OF_DATE
DATE
Y
No vector table is required when the database natively supports aggregation on vector types.
ES_SCENARIO_FX_RATES_VECTOR Unique Key
Columns
VECTOR_INDEX
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE
No vector table is required when the database natively supports aggregation on vector types.